A high-frequency volatility model with signed jumps variation based on external information impact

GONG Yizhou, HUANG Ran

Systems Engineering - Theory & Practice ›› 2019, Vol. 39 ›› Issue (9) : 2189-2202.

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中国科学院数学与系统科学研究院期刊网
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Systems Engineering - Theory & Practice ›› 2019, Vol. 39 ›› Issue (9) : 2189-2202. DOI: 10.12011/1000-6788-2018-1546-14

A high-frequency volatility model with signed jumps variation based on external information impact

  • GONG Yizhou, HUANG Ran
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Abstract

Most HAR-RV-JUMP models of high frequency volatility only include the endogenous variables related to high frequency volatility, but ignore the impact of external information, which may lead to errors and bias in estimation and prediction. This paper introduces the impact of the external information into the existing HAR-RV-JUMP models by constructing a high-frequency volatility model with signed jump variation. These new models take into account not only the common influence of endogenous factors and external information, but also the asymmetric effect of multi-information on high frequency volatility. Then, high-frequency trading data of CSI 300 Index and CSI 500 Index is collected to make estimates and prediction, and rolling time window prediction method and SPA test are used to evaluate the forecasting capacity of HAR-V-RV-JUMP model. The result shows HAR-V-RV-JUMP models boast higher prediction accuracy in high frequency volatility than HAR-RV-JUMP models. However, the result also shows the performance of HAR-V-RV-JUMP models is better in predicting high frequency volatility during the stable period.

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high-frequency volatility model / impact of multi-information / asymmetric effect / jump / signed jumps variation

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GONG Yizhou , HUANG Ran. A high-frequency volatility model with signed jumps variation based on external information impact. Systems Engineering - Theory & Practice, 2019, 39(9): 2189-2202 https://doi.org/10.12011/1000-6788-2018-1546-14

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Funding

Humanities and Social Sciences Foundation of MOE of China (18YJA790037); Fundamental Research Funds for the Central Universities (CCNU18ZYTS10, CCNU19TS059)
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